This paper finds that standard asset pricing models fail to explain the significantly negative
delta hedging errors that occur as a result of the purchase of options on foreign exchange …

Over thepast two decades, the electricity market in the US has gone through major scrutiny
and changes. Most recentlv the blackout of2003, high oil prices (over $60/barrel) and …

Guo and Savickas [2005] show that aggregate stock market volatility and average idiosyncratic
stock volatility jointly forecast stock returns. In this paper, we quantify the economic …

Gross domestic product per capita, adjusted for differences in purchasing power, varies
widely among countries. In fact, a United Nations report shows that in 2001, real (that is, …

If there is no priced risk-including volatility risk-associated with hedging an option, then
expected delta hedging errors should be zero. This paper finds that delta hedging errors from …

Computer simulations were conducted studying the interfacial aspects and thermodynamic
stability of a ternary polymer blend. The blend consisted of two homopolymers and low …

… Jason Higbee … Jason Higbee & Frank A. Schmid, 2004. "Rule of law and economic
growth," International Economic Trends, Federal Reserve Bank of St. …

Hui Guo and Kevin L. Kliesen activity:(i) the change in the dollar price of crude oil (relative
price change) and (ii) the increase in uncertainty about future prices (volatility). It should be …

… Jason Higbee provided excellent research assistance. The first draft of this paper was
completed while Hui Guo was a senior economist at the Federal Reserve Bank of St. Louis, whose …

… Jason Higbee provided research assistance. The views expressed are those of the authors
and do not necessarily reflect official positions of the Federal Reserve System or the Lincoln …